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Article-24683-Creating-Custom-Indicators-MQL5-Volume-Profile-Heatmap

This repository is an article-derived reference project based on the original MQL5 article. It does not claim to reproduce the full original source code unless files are explicitly attached.

Article preview

Overview

This repository is derived from the MQL5 article about building a custom MetaTrader 5 indicator that maps liquidity using a volume profile heatmap. The article explains how to bin volume by price across a rolling window, render the result as heat-colored cells behind candles, and expose computed levels such as point of control and value area through indicator buffers.

The project serves as a reference for developers who want to study chart-side volume-at-price visualization, canvas-based rendering in MQL5, and the design of custom indicators that combine computation, overlays, alerts, and reusable output buffers.

Original Article

Repository Purpose

This repository exists to preserve and organize the technical ideas presented in the source article in a repository-friendly form.

A reader can use it to:

  • understand how a volume profile heatmap indicator can be structured in MQL5
  • learn how rolling window volume-at-price aggregation works
  • study point of control and value area extraction from binned volume
  • examine canvas-based rendering patterns for custom chart overlays
  • reuse the article as a design reference for related custom indicators or trading tools

Because the repository is article-derived, its completeness depends on the files actually attached by the article author and the processed input available here.

Key Concepts

  • Indicators
  • Example Indicators
  • Volume Profile
  • Liquidity Mapping
  • Volume at Price
  • Point of Control
  • Value Area
  • Canvas Rendering
  • Indicator Buffers
  • Tick Volume and Real Volume

Algorithm / Architecture Summary

The article describes a custom indicator architecture with both analytical and rendering components.

  1. Define indicator structure
  • The indicator works in the chart window.
  • It uses six buffers to publish derived values for other programs.
  • It includes a canvas-based drawing layer for custom rendering.
  1. Choose volume source and visual settings
  • The indicator can use either tick volume or real volume.
  • Inputs control profile depth, bin count, value area percentage, heat opacity, side profile placement, level visibility, and alerts.
  1. Build a rolling volume profile
  • For each processed bar, the indicator looks back over a configured rolling window.
  • It finds the high and low of that window.
  • The full price range is divided into horizontal bins.
  1. Distribute volume into bins
  • In the main mode, each bar’s volume is spread across the bins touched by its high-low range, proportionally to overlap.
  • An alternative mode places volume around the close rather than fully across the range.
  1. Find the point of control
  • After all bars in the window contribute to the profile, the indicator identifies the bin with the highest accumulated volume.
  • This bin becomes the point of control.
  1. Compute the value area
  • Starting from the point of control, the indicator expands upward or downward by choosing the larger neighboring bin each step.
  • Expansion continues until the configured share of total volume is covered.
  1. Split liquidity above and below price
  • The profile is divided relative to a reference price, typically the bar close.
  • This produces above/below liquidity percentages and an imbalance value.
  1. Store historical heat columns
  • Closed bars are reduced to precomputed cell colors and stored in a ring buffer.
  • This limits memory growth and speeds up redraws.
  1. Render the heatmap
  • Historical columns are painted behind visible candles.
  • Cell color depends on relative volume strength, side of current price, and candle visibility rules.
  1. Render live overlays
  • A live side profile is drawn to the right of the current bar.
  • Point of control and value area lines are shown with tags.
  • Readouts display liquidity above/below current price and imbalance.
  1. Optimize redraw behavior
  • A cached base layer stores the expensive historical heatmap.
  • Overlay-only redraws are used when only live elements change.
  • Full redraws occur when chart scaling, scrolling, or sizing changes.
  1. Publish outputs and alerts
  • Buffers expose point of control, value area high/low, liquidity below, liquidity above, and imbalance.
  • Optional alerts trigger when a close enters the point-of-control bin.

Mentioned or Attached Files

Explicitly attached files

Files mentioned in the article text

  • Volume Profile Heatmap.mq5
  • Canvas/Canvas.mqh

Statistics

  • Word count: Not available
  • Reading time: Not available
  • Image count: Not available
  • Code block count: Not available
  • File count: Not available

Tags

  • mql5
  • metatrader-5
  • indicators
  • examples-indicators
  • difficulty-advanced

Difficulty

Advanced

Reason: the article combines nontrivial volume-at-price aggregation, value area logic, ring-buffer state management, custom canvas rendering, alpha blending, redraw optimization, and full event-driven indicator lifecycle handling in MQL5.

Limitations

  • The repository is derived from article content and may not represent the full original project unless the attached ZIP contents are present and extracted.
  • The processed input confirms that a ZIP archive exists, but its internal file list was not provided here.
  • Implementation completeness depends on files actually attached or supplied by the article author.
  • This should be treated as a technical reference or reconstruction project unless verified source files are included in the repository.
  • The article describes rendering behavior and architecture in detail, but production readiness should not be assumed from the article alone.

Reference